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A game theoretic approach to martingale measures in incomplete markets

Øksendal, Bernt; Sulem, Agnès
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pm24-06.pdf (143.9Kb)
Year
2006
Permanent link
http://urn.nb.no/URN:NBN:no-23555

Is part of
Preprint series. Pure mathematics
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  • Matematisk institutt [2479]
Abstract
We consider a stochastic differential game in a financial jump diffusion market, where the agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market chooses a scenario (represented by a probability measure) which minimizes this maximal utility. We show that the optimal strategy for the market is to choose an equivalent martingale measure.
 
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